VanEck IBoxx (Netherlands) Market Value
| TAT Etf | EUR 19.05 0.05 0.26% |
| Symbol | VanEck |
VanEck IBoxx 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to VanEck IBoxx's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of VanEck IBoxx.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in VanEck IBoxx on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding VanEck iBoxx EUR or generate 0.0% return on investment in VanEck IBoxx over 360 days. VanEck IBoxx is related to or competes with IShares Core, Pershing Square, ASML Holding, and Koninklijke Philips. The investment seeks to track the price and yield performance, before fees and expenses, of the Markit iBoxx EUR Liquid ... More
VanEck IBoxx Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure VanEck IBoxx's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess VanEck iBoxx EUR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3848 | |||
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 1.97 | |||
| Value At Risk | (0.59) | |||
| Potential Upside | 0.5826 |
VanEck IBoxx Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VanEck IBoxx's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VanEck IBoxx's standard deviation. In reality, there are many statistical measures that can use VanEck IBoxx historical prices to predict the future VanEck IBoxx's volatility.| Risk Adjusted Performance | 0.0393 | |||
| Jensen Alpha | 0.0066 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.30) | |||
| Treynor Ratio | 0.258 |
VanEck iBoxx EUR Backtested Returns
Currently, VanEck iBoxx EUR is very steady. VanEck iBoxx EUR owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0728, which indicates the etf had a 0.0728% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for VanEck iBoxx EUR, which you can use to evaluate the volatility of the etf. Please validate VanEck IBoxx's Semi Deviation of 0.3077, coefficient of variation of 1472.43, and Risk Adjusted Performance of 0.0393 to confirm if the risk estimate we provide is consistent with the expected return of 0.0246%. The entity has a beta of 0.0504, which indicates not very significant fluctuations relative to the market. As returns on the market increase, VanEck IBoxx's returns are expected to increase less than the market. However, during the bear market, the loss of holding VanEck IBoxx is expected to be smaller as well.
Auto-correlation | -0.64 |
Very good reverse predictability
VanEck iBoxx EUR has very good reverse predictability. Overlapping area represents the amount of predictability between VanEck IBoxx time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of VanEck iBoxx EUR price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current VanEck IBoxx price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.64 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
VanEck iBoxx EUR lagged returns against current returns
Autocorrelation, which is VanEck IBoxx etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting VanEck IBoxx's etf expected returns. We can calculate the autocorrelation of VanEck IBoxx returns to help us make a trade decision. For example, suppose you find that VanEck IBoxx has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
VanEck IBoxx regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If VanEck IBoxx etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VanEck IBoxx etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VanEck IBoxx etf over time.
Current vs Lagged Prices |
| Timeline |
VanEck IBoxx Lagged Returns
When evaluating VanEck IBoxx's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VanEck IBoxx etf have on its future price. VanEck IBoxx autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, VanEck IBoxx autocorrelation shows the relationship between VanEck IBoxx etf current value and its past values and can show if there is a momentum factor associated with investing in VanEck iBoxx EUR.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in VanEck Etf
VanEck IBoxx financial ratios help investors to determine whether VanEck Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in VanEck with respect to the benefits of owning VanEck IBoxx security.